Finally the mystery is solved, I think...

The Rescue Bots Beam Box computer game (for the TV - you plug in figurines to play their characters), comes pre-installed with six characters. In other words, the game is not like Skylanders or Disney Infinity which has the characters downloaded into the game from the figurines. As such, it is possible to trick the Beam Box console into thinking you have bought and plugged in the characters.

The six characters in the game (on the main menu screen to activate)...
Optimus Prime - comes with console
Bumblebee - sold separately in wave 1
Boulder - sold separately in wave 1
Heatwave - sold separately in wave 1
Chase - SUPPOSED to be sold separately in wave 1
Blades - sold separately in wave 2

The thing that bugged me (because I was trying to complete the set, and make the most of the game), was that I couldn't find Chase anywhere.
The figure was displayed at places like the US Toyfair, while original online listings said it was supposed to be in Wave 1, but then never showed up... and never appeared on places like ebay or online stores.

Today while doing a search for the official images, I found it listed on the Amazon Canada site (noted as not available), and scrolled down to the feedback section to see if anyone actually bought it (so that I'd know for sure that it was released somewhere).
But the feedback comment has not only reassured me that I wasn't just being unlucky with tracking it down, but has now shed some light on WHY it wasn't released.

I got a beam box for our 3 year old and we've managed to collect all the other figures for it, but Chase is probably his favorite character and he's been disappointed he can't play that game. So, I managed to "trick" the little buttons inside the unit by wedging a cut off piece of a credit card under the right side of the Optimus Prime figure. The beam box recognizes it as Chase and allows you to play as Chase. The unique game for Chase is completely broken; its controls do not work, so if you pick that game you're stuck in it until you turn off the beam box. I believe that this flawed program is why you cannot find a chase figure anywhere, and likely never will (if you can't access that game, you can't complain your beam box is broken. )
What that means, is that Hasbro must have decided to not release the Chase figure, to prevent people from returning the more expensive Beam Box to stores for refunds (because the Chase portion of the game apparently has a glitch, so people would return it thinking that it was faulty/defective).
I wonder if Hasbro actually manufactured the Chase figurine. If they did, it would mean that they trashed them all, as the cheaper of two options (not release one of the six figurines, verses, refunding the value of the Console to those who bought Chase figurines).
Yes, there is a third option (fix the game glitch), but the Beam Box may have already been in production or was too late to fix by the time they knew about the glitch... which would suggest that they don't properly test their out-sourced products, as this game wouldn't have been done in-house by Hasbro.

This will probably be another one of those unanswered questions, as I could ask at the next BotCon, but they never have Reps of the peripheral lines like Rescue Bots, Kreo, Crossovers, etc, so are never able to answer anything about them.